基于自融资的动态OBPI策略及其应用研究

对经典的基于期权的投资组合保险（OBPI）策略模型进行了适当的修正,得到了在实际操作中具有自融资特性的动态OBPI策略的模型,并以上证A股指数为投资的风险资产对象,实证研究了其在我国证券市场上应用的情况.结果表明,在我国证券市场上采用自融资的动态OBPI策略是可行的,但在极端的市场条件下有可能出现不能保底的情形;由于我国股市波动较大,投资的收益出现了两级分化;延长投资期限不一定能够增加投资的收益,而相对于市场的收益损失却增加了;投资者越是愿意承担风险,获得的收益将越高,而且相对于市场的收益损失越小.

Self-financing-based dynamic OBPI strategy and its application

The theoretical model of dynamic OBPI(Option Based Portfolio Insurance) strategy with self-(financing) was obtained by modifying the classical OBPI strategy.Taken Shanghai Securities Exchange A Share Index as an investment object of venture assets,the application of the model in Chinese Securities Market was tested.The results indicated that the application of dynamic OBPI strategy with self-financing in Chinese Securities Markets were feasible.But it might not recover the floor value at some extreme market conditions.Due to the fluctuation of Chinese Securities Market,the investment profit appeared to be polarization.Extending the investment horizon of OBPI strategy might not increase the investment profit,but the increase of loss was related to the market profit.The more risk the investor was willing to undertake,the higher profit they would gain,and the profit would lose less related to the market profit.